A Study of Granger Causality in Asian Stock Markets
Mihir Dash ()
Journal of Applied Management and Investments, 2015, vol. 4, issue 3, 145-150
This study investigates the inter-linkages between the Indian stock market and the Chinese, Japanese, and South-East Asian stock markets, during 2000-2007, prior to the global financial crisis, using the augmented Dickey-Fuller test to test the returns series for stationarity, and the Granger causality test to test for causality of returns between the markets. The results of the study suggest that the Indian stock market is closely integrated with the South-East Asian markets and the Japanese market, and that the Chinese market is influenced by the Indian market, but in turn does not seem to exert influence on any of the markets. The results, thus, indicate integration of the Indian and Japanese markets with the South-East Asian markets, and relative isolation of the Chinese market.
Keywords: inter-linkages between stock markets; augmented Dickey-Fuller test; Granger causality test (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ods:journl:v:4:y:2015:i:3:p:145-150
Access Statistics for this article
Journal of Applied Management and Investments is currently edited by Anatoliy G. Goncharuk
More articles in Journal of Applied Management and Investments from Department of Business Administration and Corporate Security, International Humanitarian University Contact information at EDIRC.
Bibliographic data for series maintained by Anatoliy G. Goncharuk ().